We suggest a semi-nonparametric estimator for the call-option price surface. The estimator
is a bivariate tensor-product B-spline. To enforce no-arbitrage constraints across strikes and …

This study presents a firm‐specific methodology for extracting implied default intensities and
recovery rates jointly from unit recovery claim prices—backed by out‐of‐the‐money put …

Estimates of option-implied probability distributions are routinely used in central banks, as
well as in other institutions, but their reliability is often difficult to assess. To address this …

Abstract" Practitioner Black-Scholes"--the BS equation with a different implied volatility (IV)
for each option--is in conflict with the underlying theory from which the model is derived …

There is a close link between prices of equity options and the default probability of a firm. We
show that in the presence of positive expected equity recovery, standard methods that …

This paper examines the empirical literature on individual equity options, discussing results
in areas of consensus, showing findings in areas of disagreement and providing a guide for …

This article compares several widely used and recently developed methods to extract risk‐
neutral densities (RNDs) from option prices in terms of estimation accuracy. It shows that the …

We introduce a model in which a regulator employs mechanism design to embed her human
capital beta signal (s) in a firm's capital structure. This can enhance her compensation at the …

We present a novel method for extracting the risk‐neutral probability of default (PD) of a firm
from American put option prices. Building on the idea of a default corridor proposed by Carr …

In this paper, we present a novel method to extract the risk-neutral probability of default from
American put option prices. Under the assumptions of Carr and Wu (2011), we derive a …